Laboratoire d’Etude et de Recherche sur l’Economie, les Politiques et les Systèmes Sociaux


jeudi 10 décembre

Bruno De Menna soutient sa thèse : "Essays on the Risk-Taking Channel of Monetary Policy Transmission in the Euro Area" - 10h00 sur Zoom

Le jeudi 10 décembre 2020 à 10h00, Bruno DE MENNA (doctorant au LEREPS et ATER à Sciences Po Toulouse) soutiendra sa thèse en sciences-économiques, réalisée sous la direction d’Alexandre Minda et Olivier Brossard, qui s’intitule :

"Essays on the Risk-Taking Channel of Monetary Policy Transmission in the Euro Area"

En raison du contexte sanitaire, la soutenance se tiendra en visioconférence sur Zoom.

Le jury chargé d’évaluer la qualité du manuscrit se compose des membres suivants :

Sophie BRANA, Professeur d’Économie, Université de Bordeaux (Rapporteur) ;
Amine TARAZI, Professeur d’Économie, Université de Limoges (Rapporteur) ;
Manthos DELIS, Professeur d’Économie, Montpellier Business School ;
Julia SCHMIDT, Économiste Chercheur au Service d’études macroéconomiques et de synthèses internationales, Banque de France ;
Olivier BROSSARD, Professeur d’Économie, Sciences Po Toulouse ;
Alexandre MINDA, Maître de Conférences HDR en Économie, Sciences Po Toulouse.


The thesis contributes to the recurrent debates in the macroeconomics of banking regarding the risk-taking channel of monetary policy transmission. As the unifying theme of the present essays, I tackle this issue from three different angles with a special focus on the euro area banking industry. I rely on available data–at both the bank-level and the country-level–and different identification strategies to deliver up-to-date empirical evidence contributing to a deeper understanding of the monetary policy impacts on credit risk.

In the first chapter of the thesis, I investigate how the risk-taking channel of monetary policy interacts with the degree of leverage in banks’ balance sheets after the Global Financial Crisis of 2008 (GFC). Using dynamic panel techniques, I first find significant statistical evidence that credit risk is negatively associated with variations in interest rates, while competition in national banking industries tends to enhance this effect. I also suggest that this negative relationship is most pronounced for banks with relatively high levels of leverage, which is consistent with a ‘‘search for yield’’ effect. These results for the euro area are strikingly different from the U.S. banking industry, confirming that time, geographical circumstances, and local banking market conditions are key in understanding the impact of monetary policy on credit risk. Moreover, the results point to the importance of considering alternative channels of risk taking in a ddition to traditional portfolio rebalancing channels in theoretical studies.

The second chapter investigates the joint impact of bank capital and funding liquidity on the monetary policy’s risk-taking channel. Using data on the euro area from 1999 to 2018 and triple interactions between monetary policy, bank equity, and funding liquidity, I shed light on a ‘‘crowding-out of deposits’’ effect prior to the GFC, which supports the need for simultaneous capital and funding liquidity ratios to mitigate the monetary transmission to bank credit risk. Interestin gly, the analysis also highlights a missing crowding-out of deposits effect among low-efficiency banks in the aftermath of the GFC. Consequently, a trade-off arises between financial stability and increased funding liquidity, requiring a special treatment for inefficient banks operating in a low interest rate environment. These results challenge the implementation of uniform funding liquidity requirements across the euro area as by the Basel III framework suggests.

The third and last chapter extends the analysis to the special case of cooperative banks and relati onship lending in the euro area. These financial intermediaries tell a different story between countries and therefore imply different responses to a common monetary policy. Accordingly, I find no evidence of the presence of a risk-taking channel of monetary policy for consolidated (i.e., less committed to relationship lending) cooperative banks, whereas the results indicate extensive evidence of a risk-taking channel in the euro area for non-cooperative banks (see also the previous chapters of the thesis). Therefore, consolidated cooperative banks seem not to raise their credit risk significantly when monetary policy is eased. Further, I highlight that the profitability of cooperative banks preserving their relationship lending model is more severely hit by a low interest rate environment compared to cooperative banks opting for consolidation. This finding raises issues on the mid-term durability of relationship lending as interest rates have been low for an extended period in the European banking industry. I ultimately find that both non-cooperative banks and relationship-based cooperative banks are concerned about the risk-taking channel of monetary policy transmission, which results in an increase in their credit risk under accommodating monetary conditions. Nevertheless, I suggest that such similarities do not exist for the same reasons, as relationship lending is associated with a fundamentally different lending process than transactions-based lending technologies, which devote significantly lower proportions of their assets to lending to small businesses.

Keywords : Monetary Policy, Banking Industry, Credit Risk, Leverage, Funding Liquidity, Capital, Cooperative, Euro Area, Global Financial Crisis.